Testing the Weak-Form Market Eficiency of the Euronext Wheat

Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profitability of this strategy is then compared with the simple buy and hold strategy. The methodology is then repeated for different sub-samples in order to check the results’ robustness. The results show that the weak-form market efficiency hypothesis cannot be rejected for the wheat case.